精东传媒app

Staffing

Examiner:

Requisites

Pre-requisite: (STA2300 or equivalent) and (MAT2100 or MAT2500 or ENM2600)

Rationale

Of fundamental importance to science, finance and engineering, are processes with random fluctuations. The series of prices of a financial instrument such as an equity, bond, or contract is an ideal and extremely important example. Some graduates will work in financial and commercial applications of mathematics where stochastic differential equations (SDEs) are of fundamental importance. SDEs also apply in many other areas in science and engineering and have many features that distinguish them from other mathematical models. Developing technical communication is also essential as preparation for the workplace which is addressed in this course.

Synopsis

This course begins by investigating models of economic activity and the financial and economic strategies which are used to stimulate economic activity. After this models of financial processes, such as equity prices, interest rates, bond yields, and so on are considered. Simulation models of such processes are developed and used in experiments using scripts written in R and scilab which are supplied on the course web page (students may choose whether to use R or scilab - it is not necessary to use both).
The theory of Stochastic differential equations is introduced and studied by simulation and in theory. Techniques for solving such equations by means of Ito's formula are explained and applied. This is applied to financial process problems and the Black-Scholes differential equation is formulated and solved. Binomial tree models are introduced and used to solve a variety of option pricing models. In the last part of the course the method for solving option pricing problems based on the equivalent martingale measure. The oncampus offering of this course is normally available only in odd numbered years. The external offering of this course is available yearly.

Objectives

Topics

Text and materials required to be purchased or accessed

Reference materials

Student workload expectations

Assessment details

Important assessment information

1. Attendance requirements:
   
   It is the students' responsibility to participate appropriately in all activities scheduled for them, and to study all material provided to them or required to be accessed by them to maximise their chance of meeting the objectives of the course and to be informed of course-related activities and administration.
   
   
2. Requirements for students to complete each assessment item satisfactorily:
   
   Due to COVID-19 the requirements for S2 2020 are:
   To satisfactorily complete an individual assessment item a student must achieve at least 50% of the marks for that item.
   
   Requirements after S2 2020:
   To complete each of the assessment items satisfactorily, students must obtain at least 50% of the total marks available for each assessment item.
   
   
3. Penalties for late submission of required work:
   
   Students should refer to the Assessment Procedure (point 4.2.4).
   
   
4. Requirements for student to be awarded a passing grade in the course:
   
   Due to COVID-19 the requirements for S2 2020 are:
   To be assured of receiving a passing grade a student must achieve at least 50% of the total weighted marks available for the course.
   
   Requirements after S2 2020:
   To be assured of receiving a passing grade a student must obtain at least 50% of the total weighted marks available for the course (i.e. the Primary Hurdle), and have satisfied the Secondary Hurdle (Supervised), i.e. the end of semester examination by achieving at least 40% of the weighted marks available for that assessment item.
   
   Supplementary assessment may be offered where a student has undertaken all of the required summative assessment items and has passed the Primary Hurdle but failed to satisfy the Secondary Hurdle (Supervised), or has satisfied the Secondary Hurdle (Supervised) but failed to achieve a passing Final Grade by 5% or less of the total weighted Marks.
   
   To be awarded a passing grade for a supplementary assessment item (if applicable), a student must achieve at least 50% of the available marks for the supplementary assessment item as per the Assessment Procedure (point 4.4.2).
   
   
5. Method used to combine assessment results to attain final grade:
   
   The final grades for students will be assigned on the basis of the weighted aggregate of the marks obtained for each of the summative assessment items in the course.
   
   
6. Examination information:
   
   Due to COVID-19 the requirements for S2 2020 are:
   An Open Examination is one in which candidates may have access to any printed or written material and a calculator during the examination.
   
   Requirements after S2 2020:
   In a Restricted Examination, candidates may not have access to any material during the examination except the following: non-programmable computer
   
   
7. Examination period when Deferred/Supplementary examinations will be held:
   
   Due to COVID-19 the requirements for S2 2020 are:
   The details regarding deferred/supplementary examinations will be communicated at a later date.
   
   Requirements after S2 2020:
   Any Deferred or Supplementary examinations for this course will be held during the next examination period.
   
   
8. 精东传媒app Student Policies:
   
   Students should read the USQ policies: Definitions, Assessment and Student Academic Misconduct to avoid actions which might contravene 精东传媒app policies and practices. These policies can be found at .
   
   

Assessment notes

1. Exam paper presentation: All exam papers should be presented in accurate and clear writing by blue or black pen. Pencil writing is not acceptable. Assignments can be presented using any word processor such as Word or Latex, or can be neatly written by blue or black pen (but not by pencil).
   
   

Other requirements

1. Computer, e-mail and Internet access:
   Students are required to have access to a personal computer, e-mail capabilities and Internet access to UConnect. Current details of computer requirements can be found at .
   
   
2. Students can expect that questions in assessment items in this course may draw upon knowledge and skills that they can reasonably be expected to have acquired before enrolling in this course. This includes knowledge contained in pre-requisite courses and appropriate communication, information literacy, analytical, critical thinking, problem solving or numeracy skills. Students who do not possess such knowledge and skills should not expect the same grades as those students who do possess them.